I pretty much did this in the house we live in now. Not really anything fancy, but its the largest bedroom in the house. I was able to put in three very large windows, and build nice window wells with steps that angle outward using large strip sandstone. We don't use it as the master anymore, but its still a very nice room.
Putting in large windows isn't very difficult. If there are already windows, dig down below them. I rented a backhow, you could hire it out, but running a backhoe for a few days is a blast. Hire a concrete cutter to cut openings below the existing windows. Put in new windows. Viola la, nice light.